From VAR to stress testing
Implementation of enterprise-wide VAR models in the 1990s was an important risk management advance, but it’s time to rethink some fundamental aspects of how they were designed, argues David Rowe.
Risk Magazine, December 2006
Validating EPE
Empirical validation of trading credit exposure simulation models is clearly essential. David Rowe points out, however, that the process must differ significantly from traditional back-tests of VAR models.
Risk Magazine, November 2006
The arrogance of hindsight
Some governments are reportedly becoming more active in using derivatives to manage their debt and funding costs. While arguably quite sensible, public distrust and sensationalist journalism present special dangers, argues David Rowe.
Risk Magazine, October 2006
Awakening Giant
Some circumstances endure long enough to become embedded in the unexamined assumptions of a generation. In the case of the Japanese economy, these assumptions could prove costly, argues David Rowe.
Risk Magazine, September 2006
Home-host conflict
Despite structural attempts at supervisory co-ordination, international banking groups need to foster bilateral understanding with their subsidiaries’ host regulators, argues David Rowe.
Risk Magazine, August 2006
Dangerous perfection
David Rowe argues that an obsessive insistence on academic perfection could limit the benefits of allowing simulation based counterparty credit exposure methods in Basel II.
Risk Magazine, July 2006
Who benefits?
The accounting scandal at Fannie Mae has been an unfolding story for the past two years. However, David Rowe asks whether events from the early 1990s should have provided an early warning of future trouble.
Risk Magazine, June 2006
Protect and survive
Internet banking has soared in popularity over the past few years, but the banking industry must improve security or risk a major loss of public confidence, argues David Rowe.
Risk Magazine, May 2006
An echo from the past
Derivatives offer excellent potential for spreading insurance risks across a wide base of investors. However, David Rowe argues that legal uncertainty represents a potential obstacle to traditional insurance companies’ efforts to realise these benefits.
Risk Magazine, April 2006